| Publication | Date of Publication | Type |
|---|
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Further Results on the Limiting Distribution of GMM Sample Moment Conditions
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Specification testing for conditional moment restrictions under local identification failure
Quantitative Economics | 2024-11-29 | Paper |
On the factor structure of bond returns
Econometrica | 2022-07-11 | Paper |
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Econometric Reviews | 2022-03-09 | Paper |
Multivariate return decomposition: theory and implications
Econometric Reviews | 2022-03-04 | Paper |
Generalized aggregation of misspecified models: with an application to asset pricing
Journal of Econometrics | 2021-03-24 | Paper |
Unit Roots, Cointegration, and Pretesting in Var Models
VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims | 2020-07-10 | Paper |
Spurious inference in reduced-rank asset-pricing models
Econometrica | 2019-02-01 | Paper |
Market consistent valuations with financial imperfection
Decisions in Economics and Finance | 2018-06-13 | Paper |
Simulated minimum distance estimation of dynamic models with errors-in-variables
Journal of Econometrics | 2017-08-24 | Paper |
Local GMM estimation of time series models with conditional moment restrictions
Journal of Econometrics | 2017-05-12 | Paper |
Local GMM estimation of time series models with conditional moment restrictions
Journal of Econometrics | 2017-05-12 | Paper |
Chi-squared tests for evaluation and comparison of asset pricing models
Journal of Econometrics | 2017-05-12 | Paper |
Chi-squared tests for evaluation and comparison of asset pricing models
Journal of Econometrics | 2017-05-12 | Paper |
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Journal of Econometrics | 2016-06-13 | Paper |
Bootstrap unit root tests in models with GARCH(1,1) errors
Econometric Reviews | 2011-06-16 | Paper |
| Methods for estimation in inference in modern econometrics. | 2011-05-19 | Paper |
Specification testing in models with many instruments
Econometric Theory | 2011-04-27 | Paper |
Inference in nearly nonstationary SVAR models with long-run identifying restrictions
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
Modeling financial return dynamics via decomposition
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
| scientific article; zbMATH DE number 5196600 (Why is no real title available?) | 2007-09-28 | Paper |
Asymptotic confidence intervals for impulse responses of near‐integrated processes
Econometrics Journal | 2005-07-04 | Paper |
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
Econometric Reviews | 2005-05-23 | Paper |
Median unbiased forecasts for highly persistent autoregressive processes
Journal of Econometrics | 2003-04-09 | Paper |
| scientific article; zbMATH DE number 3756002 (Why is no real title available?) | 1981-01-01 | Paper |
